Can one make any crash prediction in finance using the local Hurst exponent idea?

被引：184

作者：

Grech, D

Mazur, Z

机构：

[1] Univ Wroclaw, Inst Theoret Phys, PL-50204 Wroclaw, Poland

[2] Univ Wroclaw, Inst Expt Phys, PL-50204 Wroclaw, Poland

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2004年 / 336卷 / 1-2期

关键词：

econophysics; time series; correlations; Brownian motion; scaling laws; Hurst exponent;

D O I：

10.1016/j.physa.2004.01.018

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We apply the Hurst exponent idea for investigation of DJIA index time-series data. The behavior of the local Hurst exponent prior to drastic changes in financial series signal is analyzed. The optimal length of the time-window over which this exponent can be calculated in order to make some meaningful predictions is discussed. Our prediction hypothesis is verified with examples of 1929 and 1987 crashes, as well as with more recent phenomena in stock market from the period 1995 to 2003. Some interesting agreements are found. (C) 2004 Published by Elsevier B.V.

引用

页码：133 / 145

页数：13

共 12 条

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[J]. ASTROPHYSICS AND SPACE SCIENCE, 2017, 362 (11)
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[J]. ISDA 2008: EIGHTH INTERNATIONAL CONFERENCE ON INTELLIGENT SYSTEMS DESIGN AND APPLICATIONS, VOL 3, PROCEEDINGS, 2008, : 147 - 152
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[J]. JOURNAL D UROLOGIE ET DE NEPHROLOGIE, 1973, 79 (7-8): : 688 - 692

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